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Legacy Asset Profile - Non-Agency RMBS Risk Characteristics


The following graphs illustrate the macroeconomic environment when the Legacy Assets were first issued and provide historical context for the decline in value of the Non-Agency RMBS Legacy Assets.  While future changes in these factors may influence the value of the Legacy Assets, they are not meant to be, and should not be construed as, a prediction of individual loan or asset performance.

The S&P/Case-Shiller Home Price Index tracks changes in the value of US residential real estate nationally.  As the graph below indicates, from peak (July 2006) to trough (April 2009), the index is down 33%.  The red bars represent the Non-Agency RMBS Legacy Assets by origination year.

Mortgages originated during the period of highest home prices (between 2004 and 2007) have the highest rates of default.  Of the securities that comprise the Non-Agency RMBS Legacy Assets, 96% were originated during this period and carry the highest risk of default.


S&P/Case-Shiller 20-City Composite Home Price Index, January 2000 - December 2010 


Data Source: Standard & Poor's Financial Services

Seasonally Adjusted Unemployment Rate, January 2000 - December 2010 

Unemployment is a key driver in the performance of the Non-Agency RMBS Legacy Assets.  As the graph below illustrates, unemployment rates climbed since 2007 when the majority of Legacy Assets were originated.

 Data Source: Bureau of Labor Statistics